Open AccessStochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
Author(s) -
Dejian Chang,
Zhen Wu
Publication year - 2014
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2015.11.27
Subject(s) - maximum principle , impulse control , stochastic differential equation , differential game , impulse (physics) , mathematical finance , mathematical optimization , zero (linguistics) , optimal control , computer science , stochastic control , mathematics , mathematical economics , class (philosophy) , economics , finance , psychology , linguistics , philosophy , physics , quantum mechanics , artificial intelligence , psychotherapist
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